Login
- Title:
Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
- Document type:
- Report / Forschungsbericht
- Author(s):
- Resnick, S.
- Abstract:
- We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables; hidden regular variation and asymptotic independence; conditioned limit laws when one component of a random vector is extreme. The common theme is multivariate regular variation on a cone and the three cases cited come from specifying the cones [0,∞]d\{0}; (0,∞]d; and [0,∞]Χ £ (0,∞].
- Keywords:
- Regular variation, risk, domain of attraction, copula, Pareto
- Dewey Decimal Classification:
- 510
- Contracting organization:
- John-von-Neumann Lectures
- Year:
- 2007
- Language:
- en
- Semester:
- SS 07
- Format:
- Text
BibTeX